Accession Number : ADA194570

Title :   An Asymptotic Evaluation of the Tail of a Multiple Symmetric Alpha-Stable Integral.

Descriptive Note : Technical rept.,

Corporate Author : NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES

Personal Author(s) : Samorodnitsky, Gennady ; Szulga, Jerzy

PDF Url : ADA194570

Report Date : Feb 1988

Pagination or Media Count : 28

Abstract : Expand a multiple symmetric alpha stable integral multiple sums over f(t sub1,...,t sub n) dM(t sub 1)...dM(t sub n) into a Le Page type multiple series of transformed arrival times of a Poisson process. An exact evaluation of the limit of appropriately normalized tail distribution results from this representation. Keywords: Multiple stochastic integral; Stable Levy process; Poisson process.

Descriptors :   *INTEGRALS, *ASYMPTOTIC NORMALITY, ARRIVAL, DISTRIBUTION, POISSON EQUATION, STOCHASTIC PROCESSES, NORMAL DISTRIBUTION, RANDOM VARIABLES

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE